5 papers
Total progeny for spectrally negative branching L{é}vy processes with absorption
Christophe Profeta
We consider a spectrally negative branching L{é}vy process in which particles are killed upon crossing below zero. It is known that such a process becomes extinct almost surely if…
On the maximal displacement of some critical branching L{é}vy processes with stable offspring distribution
Christophe Profeta
Let X be a critical branching L{é}vy process whose offspring distribution is in the domain of attraction of a stable random variable. We study the tail probability of the maximum l…
A pursuit problem for squared Bessel processes
Christophe Profeta
In this note, we are interested in the probability that two independent squared Bessel processes do not cross for a long time. We show that this probability has a power decay which…
Persistence exponents via perturbation theory: MA(1)-processes
Frank Aurzada, Dieter Bothe, Pierre-Étienne Druet +2
For the moving average process , , where and is an i.i.d. sequence of normally distributed random variables, we…
Mathematical model for resistance and optimal strategy
Blandine Berard Bergery, Christophe Profeta, Etienne Tanré
We propose a mathematical model for one pattern of charts studied in technical analysis: in a phase of consolidation, the price of a risky asset goes down times after hitting a…